Creating a File Geodatabase (FGDB) takes way too long in ArcGIS Pro v3.0.x and v3.1.x. The experience is the same whether its done via the Catalog Pane in a project or from the File Explorer pop-up when selecting an output for a GP tool.
We're currently on Pro v3.1.1 but had the same issue with v3.0.x.
Local folder (well, kind of) which is technically a drive that's a part of an RDS where Pro is running from.The drive is provisioned as local storage for users on the RDS.
The same process is seamless when being run from ArcMap/ArcCatalog v10.6.1.
You might want to "Tech Support" this issue since I have not issues with creating one on a true local folder. The process in Pro is probably not the exact same as that in ArcMap, so your comparison to arcmap's times may not be appropriate. Contact them to see if issues have been raised by others with your setup profile
I have never had issues with a local install and locally installed data, adding networks and its ilk probably adds a whole new dimension of potential problems. Good luck
